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Price modeling and portfolio optimization in commodity markets

Produktform: Buch / Einband - flex.(Paperback)


This thesis analyzes the commodity market. First, a machine learning-based model for state prediction of agricultural commodity prices is proposed. Combined with a stochastic price model, state-dependent price scenarios via Monte Carlo simulation are generated. Second, a portfolio optimization problem with stochastic market price of commodity risk is solved. Using stochastic control methods, a stochastic optimal portfolio process is derived.

Verlag: Fraunhofer Verlag, 192 Seiten

Erscheinungsdatum: 05.07.2022

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